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US 2009/0265282 A1Published application
System and method for managing trading orders with decaying reserves
AssigneeBGC Partners, Inc.
InventorJoseph C. Noviello
Life of this patent
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Abstract
A system comprises a memory operable to store a trading order for a particular quantity of a trading product, wherein a first portion of the particular quantity is a displayed quantity and a second portion of the particular quantity is a reserved quantity. The system further comprises a processor communicatively coupled to the memory and operable to disclose the displayed quantity to one or more market centers. The processor is further operable to identify a decay rate associated with the trading order. The processor is further operable to cause the reserved quantity to decay based at least in part on the identified decay rate.
Claims24
An apparatus, comprising:
- a memory operable to store a trading order for a particular quantity of a trading product, in which a first portion of the particular quantity is a displayed quantity, and a second portion of the particular quantity is a reserved quantity;
- a processor communicatively coupled to the memory and operable to:
- receive the trading order from a trader;
- identify a decay rule stored in the memory, in which the decay rule is associated with at least one of the trader and the trading product, and in which the decay rule specifies at least two of a decay rate, a time interval, and a decay quantity;
- disclose the displayed quantity of the trading order to one or more market centers;
- receive a counterorder for another particular quantity of the trading product;
- determine that the counterorder matches the trading order;
- fill the displayed quantity of the trading order with at least a portion of the another particular quantity of the counterorder;
- determine that the reserved quantity of the trading order is greater than zero;
- replenish the displayed quantity of the trading order with a portion of the reserved quantity of the trading order, in which a remaining portion of the reserved quantity is left over after replenishing the displayed quantity;
- determine that the remaining portion of the reserved quantity of the trading order is greater than zero;
- and
- reduce the remaining portion of the reserved quantity in accordance with the decay rule, in which any replenishing of the displayed quantity of the trading order occurs independently of reducing the remaining portion of the reserved quantity in accordance with the decay rule.
10 more elements
The apparatus of claim 5, in which the decay rule specifies at least the time interval and the decay quantity;
- and
- in which reducing the remaining portion of the reserved quantity in accordance with the decay rule comprises:
- in response to determining that the time interval has expired after the first time, subtracting the decay quantity from the remaining portion of the reserved quantity;
- and
- for each successive time interval until the remaining portion of the reserved quantity is zero, in response to an expiration of the successive time interval, subtracting the decay quantity from the remaining portion of the reserved quantity.
2 more elements
The apparatus of claim 5, in which the decay rule specifies at least the decay rate and the time interval, and in which the decay rate is a variable decay rate;
- and
- in which reducing the remaining portion of the reserved quantity in accordance with the decay rule comprises:
- upon determining that the time interval has expired after the first time, reducing the remaining portion of the reserved quantity by a first quantity;
- and
- in which the processor is further operable to:
- increase the variable decay rate;
- and
- upon an expiration of a successive time interval after the time interval, reduce the remaining portion of the reserved quantity by a second quantity, in which the second quantity is larger than the first quantity.
5 more elements
A method, comprising:
- receiving, by a processor of a computer, a trading order from a trader, in which the trading order is for a particular quantity of a trading product, in which a first portion of the particular quantity is a displayed quantity, and a second portion of the particular quantity is a reserved quantity;
- identifying, by the processor, a decay rule, in which the decay rule is associated with at least one of the trader and the trading product, and in which the decay rule specifies at least two of a decay rate, a time interval, and a decay quantity;
- disclosing, by the processor, the displayed quantity of the trading order to one or more market centers;
- receiving, by the processor, a counterorder for another particular quantity of the trading product;
- determining, by the processor, that the counterorder matches the trading order;
- filling, by the processor, the displayed quantity of the trading order with at least a portion of the another particular quantity of the counterorder;
- determining, by the processor, that the reserved quantity of the trading order is greater than zero;
- replenishing, by the processor, the displayed quantity of the trading order with a portion of the reserved quantity of the trading order, in which a remaining portion of the reserved quantity is left over after replenishing the displayed quantity;
- determining, by the processor, that the remaining portion of the reserved quantity of the trading order is greater than zero;
- and
- reducing, by the processor, the remaining portion of the reserved quantity in accordance with the decay rule, in which any replenishing of the displayed quantity of the trading order occurs independently of reducing the remaining portion of the reserved quantity in accordance with the decay rule.
8 more elements
The method of claim 14, in which the decay rule specifies at least the time interval and the decay quantity;
- and
- in which reducing the remaining portion of the reserved quantity in accordance with the decay rule comprises:
- in response to determining that the time interval has expired after the first time, subtracting, by the processor, the decay quantity from the remaining portion of the reserved quantity;
- and
- for each successive time interval until the remaining portion of the reserved quantity is zero, in response to an expiration of the successive time interval, subtracting, by the processor, the decay quantity from the remaining portion of the reserved quantity.
2 more elements
The method of claim 14, in which the decay rule specifies at least the decay rate and the time interval, and in which the decay rate is a variable decay rate;
- and
- in which reducing the remaining portion of the reserved quantity in accordance with the decay rule comprises:
- upon determining that the time interval has expired after the first time, reducing, by the processor, the remaining portion of the reserved quantity by a first quantity;
- and
- in which the method further comprises:
- increasing, by the processor, the variable decay rate;
- and
- upon an expiration of a successive time interval after the time interval, reducing, by the processor, the remaining portion of the reserved quantity by a second quantity, in which the second quantity is larger than the first quantity.
5 more elements
A computer-readable medium, the computer-readable medium being a tangible medium, the computer-readable medium storing software instructions that when executed by a processor cause the processor to:
- receive a trading order from a trader, in which the trading order is for a particular quantity of a trading product, in which a first portion of the particular quantity is a displayed quantity, and a second portion of the particular quantity is a reserved quantity;
- identify a decay rule, in which the decay rule is associated with at least one of the trader and the trading product, and in which the decay rule specifies at least two of a decay rate, a time interval, and a decay quantity;
- disclose the displayed quantity of the trading order to one or more market centers;
- receive a counterorder for another particular quantity of the trading product;
- determine that the counterorder matches the trading order;
- fill the displayed quantity of the trading order with at least a portion of the another particular quantity of the counterorder;
- determine that the reserved quantity of the trading order is greater than zero;
- replenish the displayed quantity of the trading order with a portion of the reserved quantity of the trading order, in which a remaining portion of the reserved quantity is left over after replenishing the displayed quantity;
- determine that the remaining portion of the reserved quantity of the trading order is greater than zero;
- and
- reduce the remaining portion of the reserved quantity in accordance with the decay rule, in which any replenishing of the displayed quantity of the trading order occurs independently of reducing the remaining portion of the reserved quantity in accordance with the decay rule.
8 more elements
The computer-readable medium of claim 21, in which the decay rule specifies at least the time interval and the decay quantity;
- and
- in which reducing the remaining portion of the reserved quantity in accordance with the decay rule comprises:
- in response to determining that the time interval has expired after the first time, subtracting the decay quantity from the remaining portion of the reserved quantity;
- and
- for each successive time interval until the remaining portion of the reserved quantity is zero, in response to an expiration of the successive time interval, subtracting the decay quantity from the remaining portion of the reserved quantity.
2 more elements
An apparatus, comprising:
- a memory operable to store a trading order for a particular quantity of a trading product, in which a first portion of the particular quantity is a displayed quantity, and a second portion of the particular quantity is a reserved quantity;
- a processor communicatively coupled to the memory and operable to:
- receive the trading order from a trader at a first time;
- identify a decay rule stored in the memory, in which the decay rule is associated with at least one of the trader and the trading product, and in which the decay rule specifies at least a decay quantity and a time interval;
- disclose the displayed quantity of the trading order to one or more market centers;
- receive a counterorder for another particular quantity of the trading product;
- determine that the counterorder matches the trading order;
- fill the displayed quantity of the trading order with at least a portion of the another particular quantity of the counterorder;
- determine that the reserved quantity of the trading order is greater than zero;
- replenish the displayed quantity of the trading order with a portion of the reserved quantity of the trading order, in which a remaining portion of the reserved quantity is left over after replenishing the displayed quantity;
- determine that the time interval after the first time has expired;
- determine that the remaining portion of the reserved quantity of the trading order is greater than zero;
- subtract the decay quantity from the remaining portion of the reserved quantity;
- and
- for each successive time interval until the remaining portion of the reserved quantity is zero, in response to an expiration of the successive time interval, subtract the decay quantity from the remaining portion of the reserved quantity.
12 more elements
An apparatus, comprising:
- a memory operable to store a trading order for a particular quantity of a trading product, in which a first portion of the particular quantity is a displayed quantity, and a second portion of the particular quantity is a reserved quantity;
- a processor communicatively coupled to the memory and operable to:
- receive the trading order from a trader at a first time;
- identify a decay rule stored in the memory, in which the decay rule is associated with at least one of the trader and the trading product, and in which the decay rule specifies at least a decay rate and a time interval;
- disclose the displayed quantity of the trading order to one or more market centers;
- determine that the time interval after the first time has expired;
- determine that the reserved quantity of the trading order is greater than zero;
- reduce the reserved quantity in accordance with the decay rate without changing the displayed quantity of the trading order.
5 more elements
Dependencies are inferred from the claim text.